Yes, that can be a real limitation on some compact cameras, but it is not universal. Macro behavior depends on how the camera maker designed the lens and focusing system. Some compact cameras allow close focusing only at the wide end, some at the telephoto end, some at both, and some across much of the zoom range.

So the main reason is simply lens design and manufacturer choice rather than one rule that applies to all cameras. On certain models, the minimum focus distance is shortest at the widest setting, which makes macro mode seem to "work best" there. On others, close-up shooting may also work at longer focal lengths.

In short: your observation is valid for many cameras, but not for every compact camera.